Robust estimators in a generalized partly linear regression model under monotony constraints


In this paper, we consider the situation in which the observations follow an isotonic generalized partly linear model. Under this model, the mean of the responses is modelled, through a link function, linearly on some covariates and nonparametrically on an univariate regressor in such a way that the nonparametric component is assumed to be a monotone function. A class of robust estimates for the monotone nonparametric component and for the regression parameter, related to the linear one, is defined. The robust estimators are based on a spline approach combined with a score function which bounds large values of the deviance. As an application, we consider the isotonic partly linear log-Gamma regression model. Under regularity conditions, we derive consistency results for the nonparametric function estimators as well as consistency and asymptotic distribution results for the regression parameter estimators. Besides, the empirical influence function allows us to study the sensitivity of the estimators to anomalous observations. Through a Monte Carlo study, we investigate the performance of the proposed estimators under a partly linear log-Gamma regression model with increasing nonparametric component. The proposal is illustrated on a real data set.

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The authors wish to thank the Associate Editor and two anonymous referee for their valuable comments which led to an improved version of the original paper. This research was partially supported by Grants pip 112-201101-00742 from conicet, pict 2014-0351 from anpcyt and 20020170100022BA and 20020170100330BA from the Universidad de Buenos Aires, Argentina and also by the Spanish Project MTM2016-76969P from the Ministry of Science and Innovation, Spain.

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Correspondence to Graciela Boente.

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Supplementary material.

The supplementary material (available online) contains the proof of Theorem 3 and that of the expressions given in (21) and (22) for the empirical influence function of the proposed estimators. Some additional figures for the empirical influence function given in Section 6.1 are provided. It also contains some lemmas ensuring that the entropy assumptions C4 and C5 hold, for some choices of the loss function. 1.21MB PDF



Throughout this section, we will denote as \(\Vert \rho \Vert _{\infty }=\sup _{y \in \mathbb {R}, u\in \mathbb {R}, a\in {\mathcal {V}}} \rho (y,u,a)\) and \(\Vert w\Vert _{\infty }=\sup _{{\mathbf {x}}\in \mathbb {R}^p} w({\mathbf {x}})\).

Proof of Theorem 1

Let \(V_{\varvec{\beta },g,a}=\rho \left( y,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }+g(t),a\right) w({\mathbf {x}}) \) and denote as P the probability measure of \((y ,{\mathbf {x}},t )\) and as \(P_n\) its corresponding empirical measure. Then, \(L_n(\varvec{\beta },g,a)=P_n V_{\varvec{\beta },g,a}\) and \(L(\varvec{\beta },g,a)=P V_{\varvec{\beta },g,a}\).

The consistency of \(\widehat{\kappa }\) entails that given any neighbourhood \({\mathcal {V}}\) of \(\kappa _0\), there exists a null set \({\mathcal {N}}_{\mathcal {V}}\), such that for \(\omega \notin {\mathcal {N}}_{\mathcal {V}}\), there exists \(n_0\in \mathbb {N}\), such that for all \(n\ge n_0\) we have that \( \widehat{\kappa }\in {\mathcal {V}}\).

The proof follows similar steps as those used in the proof of Theorem 5.7 of van der Vaart (1998). Let us begin showing that

$$\begin{aligned} A_n=\sup _{\varvec{\beta }\in \mathbb {R}^p, g\in {\mathcal {M}}_n({\mathcal {T}}_n,\ell ), a \in {\mathcal {V}}} |L_n(\varvec{\beta },g, a)-L(\varvec{\beta },g, a)| \buildrel {a.s.}\over \longrightarrow 0\,. \end{aligned}$$

Note that \(A_n=\sup _{f\in {\mathcal {F}}_n} (P_n-P)f\), where \({\mathcal {F}}_n\) is defined in (10). Furthermore, C1 entails that \(\sup _{f\in {\mathcal {F}}_n}|f|=\Vert \rho \Vert _\infty \Vert w\Vert _\infty \), while C4 and the fact that \(k_n = O(n^\nu )\) with \(\nu< 1/(2r)<1\) imply that

$$\begin{aligned} \frac{1}{n} \log N(\epsilon , {\mathcal {F}}_n, L_1(P_n))= O_\mathbb {P}(1)\; \frac{k_n+p}{n}\, \log \left( \frac{1}{\epsilon }\right) \buildrel {p}\over \longrightarrow 0\,. \end{aligned}$$

Hence, we get that (A.1) holds (see, for instance, exercise 3.6 in van der Geer (2000) with \(b_n=\max (1, \Vert \rho \Vert _{\infty } \Vert w\Vert _{\infty })\)).

Since \(L(\varvec{\theta }_0, \kappa _0)=\inf _{\varvec{\beta }\in \mathbb {R}^p, g\in {\mathcal {G}}}L(\varvec{\beta },g, \kappa _0)\), where \(\varvec{\theta }_0=(\varvec{\beta }_0,\eta _0)\), we have that

$$\begin{aligned} 0\le L(\widehat{\varvec{\theta }}, \kappa _0)-L(\varvec{\theta }_0, \kappa _0)= \sum _{j=1}^3 A_{n,j}\,, \end{aligned}$$

with \(A_{n,1}=L(\widehat{\varvec{\theta }}, \widehat{\kappa })-L_n(\widehat{\varvec{\theta }}, \widehat{\kappa })\), \(A_{n,2}=L_n(\widehat{\varvec{\theta }}, \widehat{\kappa })-L(\varvec{\theta }_0, \kappa _0)\) and \(A_{n,3}=L(\widehat{\varvec{\theta }}, \kappa _0)-L(\widehat{\varvec{\theta }}, \widehat{\kappa })\). Noting that \(|A_{n,1}|\le A_n\), we obtain that \(A_{n,1}=o_{\text {a.s.}}(1)\). On the other hand, since \(L(\widehat{\varvec{\theta }}, a)=L^{\star } (\widehat{\varvec{\beta }}, \widehat{\varvec{\lambda }}, a)\) the equicontinuity of \(L^{\star }\) stated in C1 and the consistency of \(\widehat{\kappa }\) entails that \(A_{n,3}=o_{\text {a.s.}}(1)\).

We will now bound \(A_{n,2}\). Using Lemma A1 of Lu et al. (2007), we get that there exists \(g_n\in {\mathcal {M}}_n({\mathcal {T}}_n,\ell )\) with \(\ell \ge r+2\), such that \(\Vert g_n-\eta _0\Vert _{\infty }=O(n^{-r\nu } )\), for \(1/(2r +2)< \nu < 1/(2r)\). Denote \(\varvec{\theta }_{0,n}=(\varvec{\beta }_0, g_n)\) and let \(S_{n,1}=(P_n-P)V_{\varvec{\beta }_0,g_n, \widehat{\kappa }}\) and \(S_{n,2}=L(\varvec{\theta }_{0,n}, \widehat{\kappa })-L(\varvec{\theta }_0, \kappa _0)\). Note that \(S_{n,1}\le A_n\), so that from (A.1), we get that \(S_{n,1} \buildrel {a.s.}\over \longrightarrow 0\). On the other hand, if we write \(S_{n,2}=\sum _{j=1}^2 S_{n,2}^{(j)}\) where \(S_{n,2}^{(1)}=L(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta }_{0,n}, \kappa _0)\) and \(S_{n,2}^{(2)}=L(\varvec{\theta }_{0,n}, \kappa _0)-L(\varvec{\theta }_0, \kappa _0)\), the continuity of \(\rho \) together with the fact that \(\Vert g_n-\eta _0\Vert _{\infty }\rightarrow 0\) and the dominated convergence theorem entail that \(S_{n,2}^{(2)}\rightarrow 0\), while the continuity and boundedness of \(\rho \) together with the consistency of \(\widehat{\kappa }\) lead to \(S_{n,2}^{(1)}=o_{\text {a.s.}}(1)\). Hence, \(S_{n,j}=o_{\text {a.s.}}(1)\) for \(j=1,2\).

Using that \(\widehat{\varvec{\theta }}\) minimizes \(L_n\) over \(\mathbb {R}^p\times {\mathcal {M}}_n({\mathcal {T}}_n,\ell )\) we obtain that

$$\begin{aligned} A_{n,2}= L_n(\widehat{\varvec{\theta }},\widehat{\kappa })-L(\varvec{\theta }_0, \kappa _0) \le L_n(\varvec{\theta }_n, \widehat{\kappa })-L(\varvec{\theta }_0, \kappa _0)=S_{n,1}+S_{n,2} \,. \end{aligned}$$

Hence, from (A.2) and (A.3) and using that \(A_{n,j}=o_{\text {a.s.}}(1)\), for \(j=1,3\) and \( S_{n,j}= o_{\text {a.s.}}(1)\), for \(j=1,2\), we conclude that

$$\begin{aligned} 0\le L(\widehat{\varvec{\theta }}, \kappa _0)-L(\varvec{\theta }_0, \kappa _0)=\sum _{j=1}^3 A_{n,j}\le o_{\text {a.s.}}(1)\,, \end{aligned}$$

so \( L(\widehat{\varvec{\theta }}, \kappa _0)\rightarrow L(\varvec{\theta }_0, \kappa _0)\). The fact that \(\inf _{ {\varvec{\theta }}\in {\mathcal {A}}_\epsilon }L(\varvec{\theta },\kappa _0)>L(\varvec{\theta }_0,\kappa _0)\) entails that \(\pi (\widehat{\varvec{\theta }},\varvec{\theta }_0) \buildrel {a.s.}\over \longrightarrow 0\), concluding the proof. \(\square \)

Proof of Theorem 2

Define the functions \(M_1(s)=L(\varvec{\beta }_0+ s \varvec{\beta },\eta _0,a)\) and \(M_2(s)=L(\varvec{\beta }_0,\eta _0+sg,a) \) and note that \(M_1^{\prime }(0)= \mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ) ,a) {\mathbf {x}}^{\textsc {t}}\varvec{\beta }\right] \) and \(M_2^{\prime }(0)= \mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ) ,a) g(t)\right] \). When C9a) holds, we have that \(M_1(s)\) and \(M_2(s)\) have a minimum at \(s=0\), for any \(\varvec{\beta }\in \mathbb {R}^p\) and \(g\in {\mathcal {G}}\). Then, \(M_1^{\prime }(0)=0\) and \(M_2^{\prime }(0)=0\) which implies that, for any \(a\in {\mathcal {V}}\),

$$\begin{aligned}&\mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ) ,a) {\mathbf {x}}\right] = {\mathbf{0}} \end{aligned}$$
$$\begin{aligned}&\mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ) ,a) g(t)\right] = 0 \quad \text{ for } \text{ any } g\in {\mathcal {G}}\,. \end{aligned}$$

Clearly, (A.4) and (A.5) also hold under C9b).

To prove Theorem 2 under both sets of assumptions, we will state the common steps at the beginning and we then continue the proof when C5\(^\star \) or C5\(^{\star \star }\) hold.

We denote \( \varTheta _n = \mathbb {R}^p\times {\mathcal {M}}_n({\mathcal {T}}_n,\ell )\cap \{\varvec{\theta }=(\varvec{\beta },g)\in \varTheta : \pi (\varvec{\theta },\varvec{\theta }_0)<\epsilon _0\}\), where \(\varTheta =\mathbb {R}^p\times {\mathcal {G}}\). Note that, except for a null probability set, \(\widehat{\varvec{\theta }}\in \varTheta _n\), for n large enough. As in the proof of Theorem 1, let \(g_n\in {\mathcal {M}}_n({\mathcal {T}}_n,\ell )\) with \(\ell \ge r+2\), \(g_n(t)=\varvec{\lambda }_n^{\textsc {t}}{\mathbf {B}}(t)\), be such that \(\Vert g_n-\eta _0\Vert _{\infty }=O(n^{-r\nu } )\), for \(1/(2r +2)< \nu < 1/(2r)\) and denote \(\varvec{\theta }_{0,n} = (\varvec{\beta }_0,g_n)\).

In order to get the convergence rate of our estimator \(\widehat{\varvec{\theta }}= (\widehat{\varvec{\beta }},\widehat{\eta })\), we will apply Theorem 3.4.1 of van der Vaart and Wellner (1996). For that purpose, following the notation in that Theorem, denote as \(M(\varvec{\theta })= - L(\varvec{\theta }, \widehat{\kappa })\) and \(\mathbb {M}_n(\varvec{\theta })=- L_n(\varvec{\theta }, \widehat{\kappa })\) and for \(\varvec{\theta }\in \varTheta _n\), let \(d_n(\varvec{\theta }, \varvec{\theta }_0)= \pi _{\mathbb {P}}(\varvec{\theta }, \varvec{\theta }_0)\). Note that the function M is random, due to the nuisance parameter estimator \(\widehat{\kappa }\). Let \(\delta _n=A\Vert \eta _0-g_n\Vert _{{{\mathcal {F}}}}\), where \(A=4\,\sqrt{(C_0 /\Vert w\Vert _{\infty }+A_0)/C_0}\) with \(A_0= \Vert w\Vert _{\infty } \Vert \chi \Vert _{\infty }/2\) and \(C_0\) given in C8.

Using that \(|(L_n(\varvec{\theta }, \widehat{\kappa })- L(\varvec{\theta },\widehat{\kappa }))-(L_n(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta }_{0,n},\widehat{\kappa })) |= | (\mathbb {M}_n-M)(\varvec{\theta })- (\mathbb {M}_n-M)(\varvec{\theta }_{0,n})|\), to make use of Theorem 3.4.1 of van der Vaart and Wellner (1996), we have to show that there exists a function \(\phi _n\) such that \(\phi _n(\delta )/\delta ^\nu \) is decreasing on \((\delta _n, \infty )\) for some \(\nu <2\) and that for any \(\delta >\delta _n\),

$$\begin{aligned} \sup _{ {\varvec{\theta }}\in \varTheta _{n,\delta }} L(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta },\widehat{\kappa })=\sup _{ {\varvec{\theta }}\in \varTheta _{n,\delta }} M(\varvec{\theta })- M(\varvec{\theta }_{0,n})\lesssim & {} -\delta ^2 \nonumber \\ \end{aligned}$$
$$\begin{aligned} \mathbb {E}^{*} \sup _{ {\varvec{\theta }}\in \varTheta _{n, \delta }} \sqrt{n} \left| (L_n(\varvec{\theta }, \widehat{\kappa })- L(\varvec{\theta },\widehat{\kappa }))-(L_n(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta }_{0,n},\widehat{\kappa })) \right|\lesssim & {} \phi _n(\delta ) \nonumber \\ \end{aligned}$$
$$\begin{aligned} d_n(\widehat{\varvec{\theta }}, \varvec{\theta }_{0,n})&\buildrel {p}\over \longrightarrow&0 \end{aligned}$$

where the symbol \(\lesssim \) means less or equal up to a constant, \(\mathbb {E}^{*}\) stands for the outer expectation and \(\varTheta _{n,\delta }=\{\varvec{\theta }\in \varTheta _n: \delta / 2 < d_n(\varvec{\theta },\varvec{\theta }_{0,n}) \le \delta \}\).

Assumption C8 and the fact that \(\widehat{\kappa } \buildrel {a.s.}\over \longrightarrow \kappa _0\) entails that, except for a null probability set, for any \(\varvec{\theta }\in \varTheta _n\), \(L(\varvec{\theta }, \widehat{\kappa })-L(\varvec{\theta }_0, \widehat{\kappa })\ge C_0\,\pi _{\mathbb {P}}^2(\varvec{\theta },\varvec{\theta }_0)\). Besides, (A.5) entails that \(\mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ),a) \left( g_n(t )-\eta _0(t )\right) \right] =0\), so

$$\begin{aligned} L(\varvec{\theta }_{0,n}, a)-L(\varvec{\theta }_0, a)= & {} \mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t ),a) \left( g_n(t )-\eta _0(t )\right) \right] \\&+\, \frac{1}{2}\; \mathbb {E}\left[ w({\mathbf {x}})\, \chi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\widetilde{\eta }(t ), a) \left( g_n(t )-\eta _0(t )\right) ^2 \right] \\= & {} \frac{1}{2}\; \mathbb {E}\left[ w({\mathbf {x}})\,\chi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\widetilde{\eta }(t ), a) \left( g_n(t )-\eta _0(t) \right) ^2 \right] \\\le & {} \frac{1}{2}\; \Vert w\Vert _{\infty } \Vert \chi \Vert _{\infty }\mathbb {E}\left( g_n(t)-\eta _0(t) \right) ^2 = A_0\, \Vert g_n-\eta _0\Vert _2^2 \\\le & {} A_0\, \Vert g_n-\eta _0\Vert _{ {\mathcal {F}}}^2=O(n^{-2\,r\nu } )\,, \end{aligned}$$

where \(A_0= \Vert w\Vert _{\infty } \Vert \chi \Vert _{\infty }/2\) and \(\widetilde{\eta }(t)\) is an intermediate value between \(\eta _0(t)\) and \(g_n(t)\). Thus, using that \(d_n^2(\varvec{\theta },\varvec{\theta }_{0,n})\le 2 d_n^2(\varvec{\theta },\varvec{\theta }_0)+ 2 d_n^2(\varvec{\theta }_{0,n},\varvec{\theta }_0) \le 2 d_n^2(\varvec{\theta },\varvec{\theta }_0) + 2 \Vert w\Vert _{\infty }\,\Vert g_n-\eta _0\Vert _{2}^2 \le 2 d_n^2(\varvec{\theta },\varvec{\theta }_0) + 2 \Vert w\Vert _{\infty }\,\Vert g_n-\eta _0\Vert _{{{\mathcal {F}}}}^2\) and that \(\delta / 2 < d_n(\varvec{\theta },\varvec{\theta }_{0,n}) \), we obtain that

$$\begin{aligned} L(\varvec{\theta }, \widehat{\kappa })- L(\varvec{\theta }_{0,n}, \widehat{\kappa })\ge & {} C_0\,d_n^2(\varvec{\theta },\varvec{\theta }_0)- A_0\, \Vert g_n-\eta _0\Vert _{{{\mathcal {F}}}}^2 \ge \frac{C_0}{2} d_n^2(\varvec{\theta },\varvec{\theta }_{0,n}) \\&-\, \left( \frac{C_0}{\Vert w\Vert _{\infty }}+A_0\right) \Vert g_n-\eta _0\Vert _{{{\mathcal {F}}}}^2 \\\ge & {} \frac{C_0}{8} \delta ^2 - \frac{1}{A^2} \left( \frac{C_0}{\Vert w\Vert _{\infty }}+A_0\right) \delta _n^2 =\frac{C_0}{8} \delta ^2- \frac{C_0}{16} \delta _n^2\ge \frac{C_0}{16} \delta ^2\,, \end{aligned}$$

concluding the proof of (A.6).

We have now to find \(\phi _n(\delta )\) such that \(\phi _n(\delta )/\delta \) is decreasing in \(\delta \) and (A.7) holds. Note that from the consistency of \(\widehat{\kappa }\), we have that with probability one for n large enough

$$\begin{aligned}&\sqrt{n} \left| (L_n(\varvec{\theta }, \widehat{\kappa })- L(\varvec{\theta },\widehat{\kappa }))\right. \left. -\;(L_n(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta }_{0,n},\widehat{\kappa })) \right| \\&\quad \le \sup _{ a \in {\mathcal {V}}} \sqrt{n} \left| (L_n(\varvec{\theta }, a)- L(\varvec{\theta },a))-(L_n(\varvec{\theta }_{0,n}, a)- L(\varvec{\theta }_{0,n}, a)) \right| . \end{aligned}$$

Define the class of functions

$$\begin{aligned} {\mathcal {F}}_{n,\delta }= & {} \left\{ V_{{\varvec{\theta }}, a}-V_{{\varvec{\theta }}_{0,n}, a}: \frac{\delta }{2} \le d_n(\varvec{\theta },\varvec{\theta }_{0,n}) \le \delta \,, \varvec{\theta }\in \varTheta _n\,, \, a\in {\mathcal {V}}\right\} \\= & {} \{V_{{\varvec{\theta }}, a}-V_{{\varvec{\theta }}_{0,n}, a}: \varvec{\theta }\in \varTheta _{n,\delta }\,, \, a\in {\mathcal {V}}\}\,, \end{aligned}$$

with \(V_{{\varvec{\theta }}, a}=\rho \left( y,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }+g(t),a\right) w({\mathbf {x}}) \), for \(\varvec{\theta }=(\varvec{\beta },g)\). Inequality (A.7) involves an empirical process indexed by \({\mathcal {F}}_{n,\delta }\), since

$$\begin{aligned}&\mathbb {E}^{*} \sup _{ {\varvec{\theta }}\in \varTheta _{n,\delta }} \sqrt{n} \left| (L_n(\varvec{\theta }, \widehat{\kappa })- L(\varvec{\theta },\widehat{\kappa }))-(L_n(\varvec{\theta }_{0,n}, \widehat{\kappa })- L(\varvec{\theta }_{0,n},\widehat{\kappa })) \right| \\&\quad \le \mathbb {E}^{*} \sup _{f\in {\mathcal {F}}_{n,\delta }} \sqrt{n} |(P_n-P) f|\,. \end{aligned}$$

For any \(f\in {\mathcal {F}}_{n,\delta } \), we have that \(\Vert f\Vert _{\infty } \le A_1 = 2 \Vert \rho \Vert _{\infty } \Vert w\Vert _{\infty }\). Furthermore, if \(A_2= \Vert \psi \Vert _{\infty } \Vert w\Vert _{\infty }\) using that

$$\begin{aligned} |V_{{\varvec{\theta }}, a}-V_{{\varvec{\theta }}_{0,n}, a}| \le \Vert \psi \Vert _{\infty } w({\mathbf {x}}) |{\mathbf {x}}^{\textsc {t}}(\varvec{\beta }-\varvec{\beta }_{0}) + g(t)-g_n(t)|\,, \end{aligned}$$

and the fact that \(\pi _{\mathbb {P}}(\varvec{\theta },\varvec{\theta }_{0,n})=d_n(\varvec{\theta },\varvec{\theta }_{0,n})\le \delta \), we get that

$$\begin{aligned} P f^2\le \Vert \psi \Vert _{\infty } \mathbb {E}\left( w^2({\mathbf {x}}) \left[ {\mathbf {x}}^{\textsc {t}}(\varvec{\beta }-\varvec{\beta }_{0})+g(t)-g_{n}(t)\right] ^2\right) \le A_2\, \pi _{\mathbb {P}}^2(\varvec{\theta },\varvec{\theta }_{0,n})\le A_2\, \delta ^2\,. \end{aligned}$$

Lemma 3.4.2 van der Vaart and Wellner (1996) leads to

$$\begin{aligned} \mathbb {E}^{*} \sup _{f\in {\mathcal {F}}_{n,\delta }} \sqrt{n} |(P_n-P) f|\le J_{[\;]}\left( A_2^{1/2}\delta ,{\mathcal {F}}_{n,\delta }, L_2(P)\right) \left( 1+ A_1 \frac{J_{[\;]}(A_2^{1/2}\,\delta ,{\mathcal {F}}_{n,\delta }, L_2(P))}{A_2 \delta ^2 \; \sqrt{n}} \right) \,, \end{aligned}$$

where \(J_{[\;]}(\delta , {\mathcal {F}}, L_2(P)) =\int _0^\delta \sqrt{1+ \log N_{[\;]}(\epsilon , {\mathcal {F}}, L_2(P)) } \mathrm{d}\epsilon \) is the bracketing integral.

(a) Assume now that C5\(^{\star }\) holds and note that for any \(\varvec{\theta }=(\varvec{\beta },g) \in \varTheta _{n,\delta }\), g can be written as \(g=\varvec{\lambda }^{\textsc {t}}{\mathbf {B}}\) for some \(\varvec{\lambda }\in {\mathcal {L}}_{k_n}\), so

$$\begin{aligned} d_n^2(\varvec{\theta }, \varvec{\theta }_{0,n})= & {} \mathbb {E}\left( w({\mathbf {x}}) \left[ {\mathbf {x}}^{\textsc {t}}(\varvec{\beta }-\varvec{\beta }_{0})+(\varvec{\lambda }-\varvec{\lambda }_n)^{\textsc {t}}{\mathbf {B}}(t)\right] ^2\right) \,. \end{aligned}$$

Hence, \({\mathcal {F}}_{n,\delta }\subset {\mathcal {G}}_{n,c, {\varvec{\lambda }}_n}\) with \(c= \delta \) and the bound given in C5\(^{\star }\) leads to

$$\begin{aligned} N_{[\;]}\left( \epsilon ,{\mathcal {F}}_{n,\delta }, L_2(P)\right) \le C_2 \left( \frac{\delta }{\epsilon }\right) ^{k_n+p+1}\,. \end{aligned}$$

This implies that

$$\begin{aligned} J_{[\;]}( A_2^{1/2}\delta ,{\mathcal {F}}_{n,\delta }, L_2(P)) \lesssim \delta \sqrt{k_n+p+1}\,. \end{aligned}$$

If we denote \(q_n = k_n + p+1\), we obtain that for some constant \(A_3\) independent of n and \(\delta \),

$$\begin{aligned} \mathbb {E}^{*} \sup _{{\varvec{\theta }}\in \varTheta _{n,\delta }} |\mathbb {G}_n V_{{\varvec{\theta }}_{0,n}, \kappa _0}-\mathbb {G}_nV_{{\varvec{\theta }}, \kappa _0}| \le A_3\,\left[ \delta \, q_n^{1/2} + \frac{ q_n }{ \sqrt{n}}\right] \,. \end{aligned}$$


$$\begin{aligned} \phi _n(\delta )=\delta \, q_n^{1/2} + \frac{ q_n }{ \sqrt{n}} \,, \end{aligned}$$

we have that \(\phi _n(\delta )/\delta \) is decreasing in \(\delta \), concluding the proof of (A.7). The fact that \(\pi (\widehat{\varvec{\theta }}, \varvec{\theta }_0) \buildrel {a.s.}\over \longrightarrow 0\) entails that \(\pi _\mathbb {P}(\widehat{\varvec{\theta }}, \varvec{\theta }_0) \buildrel {a.s.}\over \longrightarrow 0\) which together with \(\pi _\mathbb {P}(\varvec{\theta }_{0,n}, \varvec{\theta }_0)\rightarrow 0\), leads to (A.8).

Let \(\gamma _n= O(n^{\min (r\nu ,(1-\nu )/2)})\), then \(\gamma _n \lesssim \delta _n^{-1}\), where \(\delta _n=A\Vert \eta _0-g_n\Vert _{{{\mathcal {F}}}}=O(n^{-r\nu })\). We have to show that \(\gamma _n^2\phi _n \left( 1/{\gamma _n}\right) \lesssim \sqrt{n}\). Note that

$$\begin{aligned} \gamma _n^2\phi _n \left( \frac{1}{\gamma _n}\right) =\gamma _n q_n^{1/2}+ \gamma _n^2\, \frac{ q_n }{\sqrt{n}} =\sqrt{n}\; a_n(1+a_n)\,\,, \end{aligned}$$

where \(a_n=\gamma _n q_n^{1/2}/\sqrt{n}\). Hence, to derive that \(\gamma _n^2\phi _n \left( 1/{\gamma _n}\right) \lesssim \sqrt{n}\), it is enough to show that \(a_n=O(1)\), which follows easily since \(k_n=O(n^{\nu })\) and \(\gamma _n= O(n^\varsigma )\) with \(\varsigma =\min (r\nu ,(1-\nu )/2)\).

Finally, the condition \(\mathbb {M}_n(\widehat{\varvec{\theta }})\ge \mathbb {M}_n(\varvec{\theta }_{0,n})-O_{\mathbb {P}}(\gamma _n^{-2})\) required by Theorem 3.4.1 of van der Vaart and Wellner (1996) is trivially fulfilled because \(\widehat{\varvec{\theta }}_n\) minimizes \(L_n(\varvec{\theta }, \widehat{\kappa })\). Hence, we get that \(\gamma _n^2 d_n^2(\varvec{\theta }_{0,n},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\).

On the other hand, \(d_n(\varvec{\theta }_{0,n},\varvec{\theta }_0)\le \Vert w\Vert _{\infty }^{1/2} \Vert g_n-\eta _0\Vert _{\infty }=O(n^{-r\nu })\le \gamma _n\), which together with \(\gamma _n^2 d_n^2(\varvec{\theta }_{0,n},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\) and the triangular inequality leads to \(\gamma _n^2 d_n^2(\varvec{\theta }_{0},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\), concluding the proof.

(b) We will assume now that C5\(^{\star \star }\) holds. Therefore, using that any \(f\in {\mathcal {F}}_{n,\delta }\) can be written as \(f=f_1-f_2\) with \(f_j\in {\mathcal {F}}_{n,\epsilon _0}^\star \) and the bound given in C5\(^{\star \star }\), we get that

$$\begin{aligned} N_{[\;]}\left( \epsilon ,{\mathcal {F}}_{n,\delta }, L_2(P)\right) \le C_2^2 \frac{1}{\epsilon ^{2(k_n+p+1)}}\,. \end{aligned}$$

This implies that

$$\begin{aligned} J_{[\;]}( A_2^{1/2}\delta ,{\mathcal {F}}_{n,\delta }, L_2(P)) \lesssim \delta \log \left( \frac{1}{\delta }\right) \sqrt{k_n+p+1}\,. \end{aligned}$$

If we denote \(q_n = k_n + p+1\), we obtain

$$\begin{aligned} \mathbb {E}\sup _{{\varvec{\theta }}\in \varTheta _{n,\delta }} |\mathbb {G}_n V_{{\varvec{\theta }}_{0,n}, \kappa _0}-\mathbb {G}_nV_{{\varvec{\theta }}, \kappa _0}| \le A\left( q_n^{1/2} \delta \log \left( \frac{1}{\delta }\right) + n^{-1/2} q_n \left[ \log \left( \frac{1}{\delta }\right) \right] ^2 \right) \,. \end{aligned}$$


$$\begin{aligned} \phi _n(\delta )=q_n^{1/2} \delta \log \left( \frac{1}{\delta }\right) + n^{-1/2} q_n \left[ \log \left( \frac{1}{\delta }\right) \right] ^2 \,, \end{aligned}$$

we have that \(\phi _n(\delta )/\delta \) is decreasing in \(\delta \).

Therefore, from Theorem 3.4.1 of van der Vaart and Wellner (1996), we conclude that \(\gamma _n^2 d_n^2(\varvec{\theta }_{0,n},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\), where \(\gamma _n\) is any sequence satisfying \(\gamma _n \lesssim \delta _n^{-1}\) with \(\delta _n=\pi (\varvec{\theta }_0,\varvec{\theta }_{0,n} )=O(n^{-r\nu })\) and \(\gamma _n^2\phi _n \left( {1}/{\gamma _n}\right) \le \sqrt{n}\). The first condition entails that \(\gamma _n \le O(n^{r\nu })\). The second one implies that

$$\begin{aligned} \gamma _n^2 \left( q_n^{1/2}\gamma _n^{-1} \log (\gamma _n)+ q_n n^{-1/2}[\log (\gamma _n)]^2 \right) \le n^{1/2}\,, \end{aligned}$$

so using that \(k_n=O(n^{\nu })\) we get that \(\gamma _n \log (\gamma _n)\le O(n^{(1-\nu )/2})\). Finally, the condition \(\mathbb {M}_n(\widehat{\varvec{\theta }})\ge \mathbb {M}_n(\theta _0)-O_{\mathbb {P}}(r_n^{-2})\) required by Theorem 3.4.1 of van der Vaart and Wellner (1996) is trivially fulfilled because \(\widehat{\varvec{\theta }}_n\) minimizes \(L_n(\varvec{\theta }, \widehat{\kappa })\).

On the other hand, \(d_n(\varvec{\theta }_{0,n},\varvec{\theta }_0)\le \Vert w\Vert _{\infty }^{1/2} \Vert g_n-\eta _0\Vert _{\infty }=O(n^{-r\nu })\le \gamma _n\), which together with \(\gamma _n^2 d_n^2(\varvec{\theta }_{0,n},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\) and the triangular inequality leads to \(\gamma _n^2 d_n^2(\varvec{\theta }_{0},\widehat{\varvec{\theta }}) = O_{\mathbb {P}}(1)\). \(\square \)

Conditions guaranteeing C8

The following lemma provides conditions to ensure that C8 holds.

Lemma 1

Assume that C9 holds and that \(\rho (y,u,a)\) is twice continuously differentiable with respect to u.

  1. (a)

    If the function \(\chi \left( y,u, a\right) ={\partial ^2 \rho (y,u,a)}/{\partial u^2} \) is such that there exists \(\epsilon _0>0\) and a neighbourhood \({\mathcal {V}}\) of \(\kappa _0\) such that

    $$\begin{aligned} C_0= \inf _{a \in {\mathcal {V}}}\inf _{ \begin{array}{c} \pi ^2({\varvec{\theta }},{\varvec{\theta }}_0 )<\epsilon _0\\ {\varvec{\theta }}\in \mathbb {R}^p\times {\mathcal {G}} \end{array}}\inf _{({\mathbf {x}}_0,t_0) \in {\mathcal {S}}_w \times [0,1]} \mathbb {E}\left( \chi \left( y,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }+g(t), a\right) \left| ({\mathbf {x}},t)=({\mathbf {x}}_0,t_0)\right. \right) >0\,, \end{aligned}$$

    where \({\mathcal {S}}_w\) stands for the support of the function w, then C8 holds.

  2. (b)

    If \(\pi ^2(\varvec{\theta }_1 ,\varvec{\theta }_2 ) =\Vert \varvec{\beta }_1-\varvec{\beta }_2 \Vert ^2+ \Vert \eta _1-\eta _2\Vert ^2_{\infty }\), C8 holds if w has bounded support \({\mathcal {S}}_w\subset \{\Vert {\mathbf {x}}\Vert \le A_1\}\) or \(\mathbb {P}(\Vert {\mathbf {x}}\Vert \le A_1)=1\) and for some positive constant \(A_2\)

    $$\begin{aligned} C_0= \inf _{a \in {\mathcal {V}}}\inf _{({\mathbf {x}}_0,t_0) \in {\mathcal {S}}_w \times [0,1]}\inf _{|s-s_0|<A_2} \mathbb {E}\left( \chi \left( y,s, a\right) \left| ({\mathbf {x}},t)=({\mathbf {x}}_0,t_0)\right. \right) >0\,, \end{aligned}$$

    where \(s_0= {\mathbf {x}}_0^{\textsc {t}}\varvec{\beta }_0+\eta _0(t_0)\).

Note that (A.9) is the robust counterpart of the assumption that the conditional variance of \(y|({\mathbf {x}},t)\) is bounded away from 0 used in Theorem 1 in Lu (2015). Assumption (A.10) is fulfilled, for instance, if \(\mathbb {E}\left( \chi \left( y,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t), a\right) \left| ({\mathbf {x}},t)=({\mathbf {x}}_0,t_0)\right. \right) >0\) and the function \(\chi (y,s,a)\) is continuous in all its arguments. These two conditions hold for instance, under partial linear model (6) both for symmetric errors or with errors having a density (8), when the functions \(\phi \) and \(\upsilon \) satisfy the assumptions N3 and N5 needed to derive the asymptotic normality of the regression estimators \(\widehat{\varvec{\beta }}\).

Proof of Lemma 1

For any \(\varvec{\theta }\in \mathbb {R}^p\times {\mathcal {M}}_n({\mathcal {T}}_n, \ell )\), denote as \(M_{{\varvec{\theta }}}(s)= L(\varvec{\theta }_0+s (\varvec{\theta }-\varvec{\theta }_0),a)\), then \(M_{{\varvec{\theta }}}(1)=L(\varvec{\theta },a)\) and \(M_{{\varvec{\theta }}}(0)=L(\varvec{\theta }_0,a)\). Furthermore, denoting \(b({\mathbf {x}},t)={\mathbf {x}}^{\textsc {t}}(\varvec{\beta }-\varvec{\beta }_0)+g(t )-\eta _0(t )\), we have

$$\begin{aligned} M_{{\varvec{\theta }}}^{\prime }(s)= & {} \mathbb {E}\left[ w({\mathbf {x}})\varPsi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t )+\,s\, b({\mathbf {x}},t),a) b({\mathbf {x}},t)\right] \\ M_{{\varvec{\theta }}}^{\prime \,\prime }(s)= & {} \mathbb {E}\left[ w({\mathbf {x}})\, \chi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_0+\eta _0(t)+\,s\, b({\mathbf {x}},t), a) b^2({\mathbf {x}},t) \right] \,. \end{aligned}$$

Assumption C9 implies that \(M_{{\varvec{\theta }}}^{\prime }(0)=0\), hence, a Taylor’s expansion of order two entails that for some \(0<\xi <1\), \(M_{{\varvec{\theta }}}(1)-M_{{\varvec{\theta }}}(0)= M_{{\varvec{\theta }}}^{\prime \,\prime }(\xi )/2\).

  1. (a)

    Denote as \(\varvec{\beta }_\xi =\varvec{\beta }_0+\xi (\varvec{\beta }-\varvec{\beta }_0)\) and \(g_\xi =\eta _0+ \xi (g-\eta _0)=(1-\xi )\eta _0+\xi g\), then \(\varvec{\theta }_\xi =(\varvec{\beta }_\xi ,g_\xi )\in \varTheta \) for \(g\in {\mathcal {G}}\) and \(\pi (\varvec{\theta }_\xi ,\varvec{\theta }_0)=\xi \pi (\varvec{\theta }, \varvec{\theta }_0)\). Therefore, for \(a\in {\mathcal {V}}\), and \(\varvec{\theta }\in \mathbb {R}^p\times {\mathcal {M}}_n({\mathcal {T}}_n, \ell )\), such that \(\pi (\varvec{\theta },\varvec{\theta }_0)<\epsilon _0\), we have that

    $$\begin{aligned}&L(\varvec{\theta }, a)-L(\varvec{\theta }_0, a)\\&\quad = M_{{\varvec{\theta }}}(1)-M_{{\varvec{\theta }}}(0)=\frac{1}{2}\; \mathbb {E}\left[ w({\mathbf {x}})\, \chi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_\xi + g_\xi (t ), a) \, b^2({\mathbf {x}},t) \right] \\&\quad = \frac{1}{2}\; \mathbb {E}\left[ w({\mathbf {x}})\, \mathbb {E}\left\{ \chi (y ,{\mathbf {x}}^{\textsc {t}}\varvec{\beta }_\xi + g_\xi (t ), a) \Big | ({\mathbf {x}},t)\right\} \, b^2({\mathbf {x}},t) \mathbb {I}_{{\mathcal {S}}_{w}\times [0,1]}({\mathbf {x}},t) \right] \\&\quad \ge C_0 \mathbb {E}w({\mathbf {x}}) b^2({\mathbf {x}},t)= C_0 \pi _{\mathbb {P}}^2(\varvec{\theta }, \varvec{\theta }_0) \end{aligned}$$

    where we have used that \(\pi (\varvec{\theta }_\xi ,\varvec{\theta }_0) <\epsilon _0\) and (A.9), concluding the proof of (a).

  2. (b)

    Assume that \(\pi ^2(\varvec{\theta }_1 ,\varvec{\theta }_2 ) =\Vert \varvec{\beta }_1-\varvec{\beta }_2 \Vert ^2+ \Vert \eta _1-\eta _2\Vert ^2_{\infty }\) and that (A.10) holds. Let \(s_0={\mathbf {x}}_0^{\textsc {t}}\varvec{\beta }_0+\eta _0(t_0)\) with \({\mathbf {x}}_0\in {\mathcal {S}}_w\). Using that \( |{\mathbf {x}}_0 ^{\textsc {t}}\varvec{\beta }_\xi + g_\xi (t )- s_0|\le A_1 \Vert \varvec{\beta }_\xi -\varvec{\beta }_0\Vert + |g_\xi (t_0 )- \eta _0(t_0)|\), we get that \(|{\mathbf {x}}_0 ^{\textsc {t}}\varvec{\beta }_\xi + g_\xi (t )- s_0|\le A_2\), whenever \(\pi (\varvec{\theta }, \varvec{\theta }_0)\le \epsilon \), with \(\epsilon _0< A_2/(1+A_1)\). The proof follows as in (a) using (A.10). \(\square \)

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Boente, G., Rodriguez, D. & Vena, P. Robust estimators in a generalized partly linear regression model under monotony constraints. TEST 29, 50–89 (2020).

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  • B-splines
  • Deviance
  • Isotonic regression
  • Partial linear models
  • Robust estimation

Mathematics Subject Classification

  • 62F30
  • 62G35